lm_2breaks¶
Purpose¶
Computes the minimum LM unit root test with two structural breaks.
Format¶
-
{ lm_tstat, tb1, tb2, lags, cv } =
LM_2breaks(y, model[, pmax, ic, trimm])¶ Parameters: - y (Nx1 matrix) – Time series data to be tested.
- model (Scalar) –
Model to be implemented.
1 Break in level. 2 Break in level and trend. - pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
- ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.
1 Akaike. 2 Schwarz. 3 t-stat significance. - trimm (Scalar) – Optional, trimming rate. Default = 0.10.
Returns: - lm_tstat (Scalar) – Minimum test statistic with two breaks.
- tb1 (Scalar) – Location of first break.
- tb1 – Location of second break.
- lags (Scalar) – Number of lags selected by chosen information criterion.
- cv (Vector) – 1%, 5%, and 10% critical values for
lm_1break()\(\tau\)-stat..
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv",
"Y + date($Date, '%b-%y')");
// Break in level
model = 1;
{ LM_min, tb1, tb2, p, cv } = LM_2breaks(y, model);
// Break in level and trend
model = 2;
{ LM_min, tb1, tb2, p, cv } = LM_2breaks(y, model);